Deserve and need are two entirely different things. Did Shawn DESERVE to win the WWE Championship again during the 2002-2010 part of his career? Absolutely. He was already a legend by that point and almost always stole the show, few have put in the work and effort that he had. He did not NEED to win a title though. Regardless of how often he stole the show, Michaels could generate significant interest in his matches without holding a title; plus he wanted to help by putting people over. There were a couple of opportunities for Michaels to have won a title during his 2002-2010 run.
The main two that stick out for me are both in 2007. Against Cena at Wrestlemania 23 and then later on against Orton that fall. A lot of people argue that they wanted Shawn to win at Wrestlemania 23, but that was an important win for Cena. Defeating both members of DX in the main events of two back to back Wrestlemanias helped solidify his status as the top guy. Shawn winning the title there might have seemed nice, but he did not NEED it. Then he came back to feud with Orton after Cena had to lose the title when he got injured. Michaels losing to Orton in this feud helped him become a permanent main eventer. As nice as it might have seemed to see Shawn hold the WWE Championship during this run, he just didn't need it. Guys like Cena and Orton who got put over big time by Shawn during this time DID need it.
He did hold his final world title during that run, a World Heavyweight Championship run. Then he held the Tag Team Championship with Triple H shortly before he retired. So at least he still won a couple of titles during the run, he could have not won ANY, so things could be worse. It comes down to the fact that he didn't need it and made a smart choice by choosing to put over guys who could benefit from defeating him and retaining the WWE Championship against him. So in conclusion, yes he absolutely deserved to hold the title again due to his legend status and what a great moment it would have been, but it never happened because it would have been unnecessary in the grand scheme of things.